Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0108
Annualized Std Dev 0.2550
Annualized Sharpe (Rf=0%) -0.0422

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1511
Quartile 1 -0.0072
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0080
Maximum 0.1063
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0005
Variance 0.0003
Stdev 0.0161
Skewness -0.5493
Kurtosis 8.5199

Downside Risk

Close
Semi Deviation 0.0119
Gain Deviation 0.0107
Loss Deviation 0.0129
Downside Deviation (MAR=210%) 0.0164
Downside Deviation (Rf=0%) 0.0118
Downside Deviation (0%) 0.0118
Maximum Drawdown 0.8448
Historical VaR (95%) -0.0246
Historical ES (95%) -0.0394
Modified VaR (95%) -0.0260
Modified ES (95%) -0.0534
From Trough To Depth Length To Trough Recovery
2000-08-29 2009-03-09 NA -0.8448 5172 2142 NA
1999-01-07 1999-10-18 2000-07-11 -0.2053 381 197 184
2000-07-19 2000-07-31 2000-08-28 -0.0758 29 9 20

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.6 0 0.6 -2.3 0 0 -1.1 1.3 -0.6 0 0.6 1.8 0.7
2000 -1.2 -1.8 1.7 1.7 1.8 0 1.6 0.5 0 0 3.8 0.7 9.2
2001 1.8 -1.2 0.5 2 -0.2 -0.7 1.2 2.7 -0.7 -0.1 0 -0.4 4.8
2002 -1.9 1 -1.3 0.4 1.7 -3.1 -4 2.3 3.8 2.6 0 -0.2 1.1
2003 0.8 0.6 1.6 0.4 1.4 -0.8 0.1 0.2 1.6 0.7 0.3 2.7 9.9
2004 -0.9 1.5 -0.1 -0.1 -0.2 0 2.5 -1 0.2 -0.9 1.2 0.8 2.9
2005 1.5 -0.2 1.2 1.2 1 0.9 0.8 -0.2 0 -0.5 1.2 0.6 7.8
2006 -0.7 -2.4 -0.4 -0.2 1 1.2 0 -0.2 0.4 -0.8 -0.4 -0.2 -2.6
2007 0.7 -1.3 -0.7 0.2 0.9 0 0 1.4 1 -1.8 -0.3 2.1 2.1
2008 1.9 -2.2 3.2 1.4 1.8 -1 -0.9 -0.9 1.2 0.6 -6.9 2 -0.4
2009 -0.4 -3.5 0.4 1.1 2.3 -0.4 0 -2.4 -2.2 -2.9 1.6 -0.6 -6.9
2010 1.2 1.2 0.3 -0.7 -0.6 -1.2 -0.8 1.7 0 -1.5 1.5 -0.5 0.5
2011 0.7 -1.6 0.7 0.2 -1.3 1.6 -1.1 -2.4 -3.5 -2.3 -0.3 -0.3 -9.3
2012 1.2 0.9 0.7 0.7 -3 2.3 -1.3 0.2 -1.2 1 -0.5 1.5 2.6
2013 1.2 1.2 -0.4 -1.6 -0.4 0.4 2 -0.2 0.8 0.4 -0.6 -0.7 2
2014 0.2 1.1 0.2 1.1 -1.1 1.1 0.3 0.2 -1.8 2.2 -1.5 -0.6 1.3
2015 -0.8 -0.2 -0.6 0.6 0 0 0.2 -2.9 0.2 0.2 0.6 0 -2.7
2016 0.3 2.2 0.5 -0.2 -0.2 0.5 0 0 0.9 -0.5 -1.9 -0.2 1.3
2017 0.2 1.5 0.4 0 1.7 0.6 0 1 1.6 -0.9 -1.1 0.4 5.5
2018 -0.5 -0.5 1.2 -0.3 1.6 0.6 0.4 -0.1 1.7 6.9 0.8 0.7 13
2019 0.6 0.6 0.5 0.3 -1.1 1.2 -0.7 -0.3 -1.9 -0.5 -0.3 1.7 0.1
2020 -0.1 -3 -5.6 -3.9 1.3 1.3 -1.1 -0.7 1.1 0.1 3.2 0 -7.3
2021 3.9 3.7 0.2 NA NA NA NA NA NA NA NA NA 7.9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart